Square-Root Factor of a Positive-Definite Matrix

Description

A square-root factor of the positive-definite matrix represented by
object is obtained. Letting S denote a
positive-definite matrix, a square-root factor of S is
any square matrix L such that S =
L'L. This function extracts L.

Usage

pdFactor(object)

Arguments

object

an object inheriting from class pdMat, representing
a positive definite matrix, which must have been initialized
(i.e. length(coef(object)) > 0).

Value

a vector with a square-root factor of the positive-definite matrix
associated with object stacked column-wise.

Note

This function is used intensively in optimization
algorithms and its value is returned as a vector for efficiency
reasons. The pdMatrix function can be used to obtain
square-root factors in matrix form.